336 lines
12 KiB
Python
336 lines
12 KiB
Python
"""
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime
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from decimal import Decimal, getcontext
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from typing import Any, Dict, Optional
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import arrow
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from sqlalchemy import (Boolean, Column, DateTime, Float, Integer, String,
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create_engine, inspect)
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from sqlalchemy.exc import NoSuchModuleError
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from sqlalchemy.ext.declarative import declarative_base
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from sqlalchemy.orm.scoping import scoped_session
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from sqlalchemy.orm.session import sessionmaker
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from sqlalchemy.pool import StaticPool
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from freqtrade import OperationalException
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logger = logging.getLogger(__name__)
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_DECL_BASE: Any = declarative_base()
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_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
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def init(config: Dict) -> None:
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"""
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Initializes this module with the given config,
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registers all known command handlers
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and starts polling for message updates
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:param config: config to use
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:return: None
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"""
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db_url = config.get('db_url', None)
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kwargs = {}
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# Take care of thread ownership if in-memory db
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if db_url == 'sqlite://':
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kwargs.update({
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'connect_args': {'check_same_thread': False},
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'poolclass': StaticPool,
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'echo': False,
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})
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try:
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engine = create_engine(db_url, **kwargs)
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except NoSuchModuleError:
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raise OperationalException(f'Given value for db_url: \'{db_url}\' '
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f'is no valid database URL! (See {_SQL_DOCS_URL})')
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session = scoped_session(sessionmaker(bind=engine, autoflush=True, autocommit=True))
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Trade.session = session()
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Trade.query = session.query_property()
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_DECL_BASE.metadata.create_all(engine)
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check_migrate(engine)
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# Clean dry_run DB if the db is not in-memory
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if config.get('dry_run', False) and db_url != 'sqlite://':
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clean_dry_run_db()
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def has_column(columns, searchname: str) -> bool:
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return len(list(filter(lambda x: x["name"] == searchname, columns))) == 1
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def get_column_def(columns, column: str, default: str) -> str:
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return default if not has_column(columns, column) else column
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def check_migrate(engine) -> None:
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"""
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Checks if migration is necessary and migrates if necessary
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"""
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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tabs = inspector.get_table_names()
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table_back_name = 'trades_bak'
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for i, table_back_name in enumerate(tabs):
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table_back_name = f'trades_bak{i}'
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logger.info(f'trying {table_back_name}')
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# Check for latest column
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if not has_column(cols, 'max_rate'):
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open_rate_requested = get_column_def(cols, 'open_rate_requested', 'null')
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close_rate_requested = get_column_def(cols, 'close_rate_requested', 'null')
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stop_loss = get_column_def(cols, 'stop_loss', '0.0')
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initial_stop_loss = get_column_def(cols, 'initial_stop_loss', '0.0')
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max_rate = get_column_def(cols, 'max_rate', '0.0')
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# Schema migration necessary
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engine.execute(f"alter table trades rename to {table_back_name}")
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# let SQLAlchemy create the schema as required
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_DECL_BASE.metadata.create_all(engine)
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# Copy data back - following the correct schema
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engine.execute(f"""insert into trades
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(id, exchange, pair, is_open, fee_open, fee_close, open_rate,
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open_rate_requested, close_rate, close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id,
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stop_loss, initial_stop_loss, max_rate
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)
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select id, lower(exchange),
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case
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when instr(pair, '_') != 0 then
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substr(pair, instr(pair, '_') + 1) || '/' ||
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substr(pair, 1, instr(pair, '_') - 1)
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else pair
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end
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pair,
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is_open, fee fee_open, fee fee_close,
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open_rate, {open_rate_requested} open_rate_requested, close_rate,
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{close_rate_requested} close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id,
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{stop_loss} stop_loss, {initial_stop_loss} initial_stop_loss,
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{max_rate} max_rate
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from {table_back_name}
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""")
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# Reread columns - the above recreated the table!
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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def cleanup() -> None:
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"""
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Flushes all pending operations to disk.
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:return: None
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"""
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Trade.session.flush()
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def clean_dry_run_db() -> None:
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"""
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Remove open_order_id from a Dry_run DB
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:return: None
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"""
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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# Check we are updating only a dry_run order not a prod one
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if 'dry_run' in trade.open_order_id:
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trade.open_order_id = None
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class Trade(_DECL_BASE):
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"""
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Class used to define a trade structure
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"""
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__tablename__ = 'trades'
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id = Column(Integer, primary_key=True)
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exchange = Column(String, nullable=False)
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pair = Column(String, nullable=False)
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is_open = Column(Boolean, nullable=False, default=True)
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fee_open = Column(Float, nullable=False, default=0.0)
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fee_close = Column(Float, nullable=False, default=0.0)
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open_rate = Column(Float)
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open_rate_requested = Column(Float)
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close_rate = Column(Float)
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close_rate_requested = Column(Float)
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close_profit = Column(Float)
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stake_amount = Column(Float, nullable=False)
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amount = Column(Float)
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open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
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close_date = Column(DateTime)
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open_order_id = Column(String)
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# absolute value of the stop loss
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stop_loss = Column(Float, nullable=True, default=0.0)
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# absolute value of the initial stop loss
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initial_stop_loss = Column(Float, nullable=True, default=0.0)
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# absolute value of the highest reached price
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max_rate = Column(Float, nullable=True, default=0.0)
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def __repr__(self):
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open_since = arrow.get(self.open_date).humanize() if self.is_open else 'closed'
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return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
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f'open_rate={self.open_rate:.8f}, open_since={open_since})')
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def adjust_stop_loss(self, current_price: float, stoploss: float, initial: bool = False):
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"""this adjusts the stop loss to it's most recently observed setting"""
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if initial and not (self.stop_loss is None or self.stop_loss == 0):
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# Don't modify if called with initial and nothing to do
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return
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new_loss = float(current_price * (1 - abs(stoploss)))
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# keeping track of the highest observed rate for this trade
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if self.max_rate is None:
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self.max_rate = current_price
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else:
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if current_price > self.max_rate:
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self.max_rate = current_price
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# no stop loss assigned yet
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if not self.stop_loss:
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logger.debug("assigning new stop loss")
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self.stop_loss = new_loss
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self.initial_stop_loss = new_loss
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# evaluate if the stop loss needs to be updated
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else:
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if new_loss > self.stop_loss: # stop losses only walk up, never down!
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self.stop_loss = new_loss
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logger.debug("adjusted stop loss")
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else:
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logger.debug("keeping current stop loss")
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logger.debug(
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f"{self.pair} - current price {current_price:.8f}, "
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f"bought at {self.open_rate:.8f} and calculated "
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f"stop loss is at: {self.initial_stop_loss:.8f} initial "
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f"stop at {self.stop_loss:.8f}. "
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f"trailing stop loss saved us: "
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f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f} "
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f"and max observed rate was {self.max_rate:.8f}")
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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:param order: order retrieved by exchange.get_order()
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:return: None
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"""
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order_type = order['type']
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# Ignore open and cancelled orders
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if order['status'] == 'open' or order['price'] is None:
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return
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logger.info('Updating trade (id=%d) ...', self.id)
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getcontext().prec = 8 # Bittrex do not go above 8 decimal
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if order_type == 'limit' and order['side'] == 'buy':
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# Update open rate and actual amount
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self.open_rate = Decimal(order['price'])
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self.amount = Decimal(order['amount'])
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logger.info('LIMIT_BUY has been fulfilled for %s.', self)
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self.open_order_id = None
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elif order_type == 'limit' and order['side'] == 'sell':
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self.close(order['price'])
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else:
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raise ValueError(f'Unknown order type: {order_type}')
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cleanup()
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def close(self, rate: float) -> None:
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"""
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Sets close_rate to the given rate, calculates total profit
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and marks trade as closed
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"""
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self.close_rate = Decimal(rate)
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self.close_profit = self.calc_profit_percent()
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self.close_date = datetime.utcnow()
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self.is_open = False
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self.open_order_id = None
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logger.info(
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'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
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self
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)
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def calc_open_trade_price(
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self,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the open_rate in BTC
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:param fee: fee to use on the open rate (optional).
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If rate is not set self.fee will be used
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:return: Price in BTC of the open trade
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"""
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getcontext().prec = 8
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buy_trade = (Decimal(self.amount) * Decimal(self.open_rate))
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fees = buy_trade * Decimal(fee or self.fee_open)
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return float(buy_trade + fees)
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def calc_close_trade_price(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the close_rate in BTC
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: Price in BTC of the open trade
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"""
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getcontext().prec = 8
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if rate is None and not self.close_rate:
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return 0.0
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sell_trade = (Decimal(self.amount) * Decimal(rate or self.close_rate))
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fees = sell_trade * Decimal(fee or self.fee_close)
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return float(sell_trade - fees)
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def calc_profit(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the profit in BTC between Close and Open trade
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: close rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: profit in BTC as float
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"""
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open_trade_price = self.calc_open_trade_price()
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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profit = close_trade_price - open_trade_price
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return float(f"{profit:.8f}")
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def calc_profit_percent(
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self,
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rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculates the profit in percentage (including fee).
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:param fee: fee to use on the close rate (optional).
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:return: profit in percentage as float
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"""
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getcontext().prec = 8
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open_trade_price = self.calc_open_trade_price()
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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profit_percent = (close_trade_price / open_trade_price) - 1
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return float(f"{profit_percent:.8f}")
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